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The Lower Regression Function and Testing Expectation Dependence Dominance Hypotheses

Oliver Linton (), Yoon-Jae Whang () and Yumin Yen

Cambridge Working Papers in Economics from Faculty of Economics, University of Cambridge

Abstract: We provide an estimator of the lower regression function and provide large sample properties for inference. We also propose a test of the hypothesis of positive expectation dependence and derive its limiting distribution under the null hypothesis and provide consistent critical values. We apply our methodology to several empirical questions.

New Economics Papers: this item is included in nep-ecm
Date: 2018-10-23
Note: obl20
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